Jackknife empirical likelihood method for copulas

被引：12

作者：

Peng, Liang ^{[2
]}

Qi, Yongcheng ^{[3
]}

Van Keilegom, Ingrid ^{[1
]}

机构：

[1] Catholic Univ Louvain, Inst Stat, B-1348 Louvain, Belgium

[2] Georgia Inst Technol, Sch Math, Atlanta, GA 30332 USA

[3] Univ Minnesota, Dept Math & Stat, Duluth, MN 55812 USA

来源：

TEST | 2012年 / 21卷 / 01期

基金：

美国国家科学基金会; 欧洲研究理事会;

关键词：

Copulas; Empirical likelihood method; Jackknife; CONFIDENCE-INTERVALS; SELECTION;

D O I：

10.1007/s11749-011-0236-4

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Copulas are used to depict dependence among several random variables. Both parametric and non-parametric estimation methods have been studied in the literature. Moreover, profile empirical likelihood methods based on either empirical copula estimation or smoothed copula estimation have been proposed to construct confidence intervals of a copula. In this paper, a jackknife empirical likelihood method is proposed to reduce the computation with respect to the existing profile empirical likelihood methods.

引用

页码：74 / 92

页数：19

共 50 条

[1] Jackknife empirical likelihood method for copulas
Liang Peng
Yongcheng Qi
Ingrid Van Keilegom
[J]. TEST, 2012, 21 : 74 - 92
[2] Smoothed jackknife empirical likelihood method for tail copulas
Peng, Liang
Qi, Yongcheng
[J]. TEST, 2010, 19 (03) : 514 - 536
[3] Smoothed jackknife empirical likelihood method for tail copulas
Liang Peng
Yongcheng Qi
[J]. TEST, 2010, 19 : 514 - 536
[4] Jackknife empirical likelihood for parametric copulas
Wang, Ruodu
Peng, Liang
Yang, Jingping
[J]. SCANDINAVIAN ACTUARIAL JOURNAL, 2013, 2013 (05) : 325 - 339
[5] Jackknife empirical likelihood test for the equality of degrees of freedom in t-copulas
Hou, Yanxi
Li, Deyuan
Liu, Aiai
Peng, Liang
[J]. SCIENCE CHINA-MATHEMATICS, 2020, 63 (04) : 789 - 822
[6] Jackknife empirical likelihood test for the equality of degrees of freedom in t-copulas
Yanxi Hou
Deyuan Li
Aiai Liu
Liang Peng
[J]. Science China Mathematics, 2020, 63 (04) : 789 - 822
[7] Jackknife empirical likelihood test for the equality of degrees of freedom in t-copulas
Yanxi Hou
Deyuan Li
Aiai Liu
Liang Peng
[J]. Science China Mathematics, 2020, 63 : 789 - 822
[8] Jackknife Empirical Likelihood
Jing, Bing-Yi
Yuan, Junqing
Zhou, Wang
[J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 2009, 104 (487) : 1224 - 1232
[9] Smoothed jackknife empirical likelihood method for ROC curve
Gong, Yun
Peng, Liang
Qi, Yongcheng
[J]. JOURNAL OF MULTIVARIATE ANALYSIS, 2010, 101 (06) : 1520 - 1531
[10] Approximate jackknife empirical likelihood method for estimating equations
Peng, Liang
[J]. CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE, 2012, 40 (01): : 110 - 123

← 1 2 3 4 5 →